Youmu is my favorite to play as in the fighters and shooters! I love her high burst damage that relies on positioning in both, even if it feels a bit unga bunga at times. In terms of design, it's gotta be Tenshi or Utsuho. They both have such intricate, yet easily understandable designs full of personality.
For wallpapers though, I prefer ones where the girls aren't the main focus, but just a part of the scenery. Gonna post some of those next.